The current price of a share is $45. In half a year, this share price can either increase to $48 or decrease to $42. You have sold a European call option on this share where you will have to pay $1,000 if the share price increases and nothing if the share price decreases.

The risk free rate is 7% per annum compounding continuously. You may assume that there are no arbitrage opportunities and that shares are infinitely divisible.

a)Calculate the number of shares () that will need to be bought in order to keep the portfolio riskless. Give your answer to 3 decimal places.

Number of shares required =?

b)Calculate the present value of this portfolio. Give your answer in dollars and cents to the nearest cent.

Present value of the riskless portfolio = $?